Opening range gap (ORG)

Index futures trade through the night, but the regular session still has a close and an open, and the opening range gap is the distance between them.

The construction

The close is the last price of the previous regular session. Published sources write it as 16:14 or 16:15 New York time: read as the close of the one-minute candle that opens at 16:14, both name the price at the session’s 16:15 end. The open is the first price of the session at 09:30. The band between them is the gap: bullish when the session opens above the prior close, bearish when it opens below, with its midpoint marked as consequent encroachment.

A worked case, with constructed numbers, on an equity index future in quarter-point ticks. The regular session closes at 21,415.50 and the next session opens at 09:30 at 21,443.50. The gap runs from 21,415.50 to 21,443.50, twenty-eight points, with its midpoint at 21,429.50. A first-hour decline to 21,431.00 enters the gap and stops short of the midpoint; a trade at 21,415.25 fills it.

A gap in regular-session prices

The futures behind the gap trade almost around the clock, pausing only for an evening hour. Between the 16:15 close and the 09:30 open they trade for more than fifteen hours, so the band normally holds prices that did trade overnight, sometimes many times. On a chart set to regular trading hours the overnight session is hidden and the gap looks like an empty stretch; on a chart set to all hours it is a run of ordinary candles. The gap is real as a regular-session construct, a difference between two session prices, and the teaching’s expectation that price returns to it is an expectation about the session, not about prices nobody traded.

Where the overnight session leaves its marks

Because the overnight session trades, it leaves its own high and low, and those often sit inside the gap or beyond it. A gap whose band the overnight session already crossed is a different situation from one the overnight session never touched, and teaching watches the overnight extremes as pools of resting orders alongside the gap’s edges. The buy-side and sell-side liquidity entry treats session highs and lows as those pools. A count of gap behaviour that mixes the two situations averages over both.

The opening range beside it

The opening range gap is known at 09:30. The opening range is what trades after it: the high and low of a stated window, commonly the first thirty minutes. A session that trades back into the gap inside its opening range and one that extends away from it are different days, and teaching reads both against the New York open kill zone from 07:00 to 10:00 and the macro window from 09:50 to 10:10.

Early closes and holidays

The exchange calendar moves both prices. On a shortened session the regular close comes early, and the gap is measured from that earlier price; after a holiday the previous close belongs to the last session that traded, which can be several days back. A gap series built from a fixed 16:15 time without the calendar picks up the wrong prices on exactly those days.

One trading day, three gaps

An index future can carry all three opening gaps across one stretch of trading. The regular session closes at 16:15. The futures pause from 17:00 to 18:00, and the change across that hour is a new day opening gap; on a Friday the pause runs into the weekend, and the change across it is a new week opening gap. Trading resumes overnight, and at 09:30 the regular session opens and the opening range gap is set. The three are measured between different pairs of prices, and the same stretch of trading can print a large opening range gap with a tiny daily gap inside it, or the reverse. A chart that carries all three needs each one labelled, since their edges can sit close enough to be mistaken for one another.

Size against the session

The gap is measured in index points, and a twenty-point gap means something different after a quiet week and after a volatile one. Stated against the average of recent regular-session ranges, it becomes comparable across days and years, and a size floor stated the same way keeps the smallest gaps, which ordinary opening volatility can cross in a minute, apart from the rest of a count.

Identifying one, step by step

1. Choose the contract and the session times in New York time: the regular close, 16:15 or the early close on shortened days, and the 09:30 open.
2. Take the close of the last regular-session candle.
3. Take the open of the first candle at 09:30.
4. Draw the band and its midpoint, and mark the overnight high and low beside them.
5. State the fill rule before the session starts: a trade at the far edge, or a close beyond it.

Trading it, as taught

Teaching uses the gap as a map for the first hours of the session. Its edges and midpoint are marked before the open, the first reactions at those lines frame the early trades, and a gap left open is carried forward like any other gap, with the expectation that price may return to fill it on a later day. One guide also pairs the gap with the first fair value gap that prints inside the opening range, reading the move out of the open as the displacement that leaves it. Each use carries its own elections, and a result for one does not describe another.

Common mistakes

Measuring the gap on an all-hours chart, where it does not exist, and tracking its fill there. Leaving the close convention unstated. Ignoring the calendar on shortened sessions. And crediting the gap with a reaction that belongs to the overnight high or low beside it.

What the gap does not settle

The construction is exact once the session times are stated: two prices, a band and a midpoint. Whether the session trades into the band, to its midpoint or through it more often than it would trade into a band of the same width that is not a gap is a measurement, and the opening range gap driver has a row in the claims ledger, where the verdict renders. The two lenses keep the two session prices, which anyone can read, apart from the claim about what the session does with them.